A class of models satisfying a dynamical version of the CAPM
AbstractUnder a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number halshs-00167159.
Date of creation: 2003
Date of revision:
Publication status: Published, Economic Letters, 2003, 299-304
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CAPM; CCAPM; market beta; equilibrium; financial markets;
Other versions of this item:
- Jouini, Elyes & Napp, Clotilde, 2003. "A class of models satisfying a dynamical version of the CAPM," Economics Letters, Elsevier, vol. 79(3), pages 299-304, June.
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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